Statistical properties of estimators for the log-optimal portfolio

DOI10.1007/s00186-020-00701-1zbMath1454.91219OpenAlexW3001360512MaRDI QIDQ2216173

Gabriel Frahm

Publication date: 15 December 2020

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-020-00701-1

zbMATH Keywords

mean-variance optimizationlog-optimal portfolioestimation riskgrowth-optimal portfoliobest constant re-balanced portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Relative utility bounds for empirically optimal portfolios

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